Put-call parities and the value of early exercise for put options on a performance index

Article Abstract:

There is a correlation between the premium placed in an early exercise of a put option from deviations of the European put-call parity with both the volatility of the index and the interest rate. However, it is negatively correlated with the time to maturity. A previous study by Zivney in 1991 revealed deviations from the European put-call parity that are caused by early exercise. The recent findings could be used for developing pricing models for put options in the US.

---

Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies

Article Abstract:

Hedging effectiveness of currency futures for hedging strategies in an out-of-sample setting only occurs in the minimum-variance model and the alpha-t model. The minimum-variance model reduces the variance of portfolio while the alpha-t model reduces the disutility of a loss. Among the three hedge types namely, naive hedge, model-based hedge and the long-term average model-based hedge, the naively hedged position is most effective with the use of the two models.

Foreign Currency Management, Management, Hedging (Finance), Foreign exchange, Foreign exchange futures

---

Two-state option pricing: binomial models revisited

Article Abstract:

Binomial models for options pricing are evaluated and analyzed. Two alternatives, one based on the Brownian model process and the other on continuous time, are presented.

United States, Securities Exchanges, Statistical Data Included, Stock exchanges, Binomial distribution

Similar abstracts:

• Abstracts: Stock prices end mostly higher, despite rout in technology issues. High-tech ills tied to corporate demand; firms are said to await new, upgraded computers
• Abstracts: I.B.M. to lift output of hard disk drives for computers. I.B.M. plans to announce leap in disk-drive capacity
• Abstracts: U.S. income tax transfer-pricing rules and resource allocation: the case of decentralized multinational firms
• Abstracts: Oracle earnings beat analysts' forecasts. Sales for large-computer software surge. Adobe Systems has egg on its face over acquisition; woes at Frame Technology help depress publishing-software firm's stock
• Abstracts: The value of information in the presence of futures markets. Energy shocks and financial markets

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.